The Adjustment of VaR to the Empirical Distribution of Returns
Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level. The objective of this paper is to address the problem of adapting thi...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2006-04-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/68.pdf
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